台灣塑膠產業匯率暴險之研究

Abstract

台灣由於國內市場規模較小，又缺乏天然資源，貿易依存度相當高。在此種環境下，外匯波動對於台灣產業之績效表現的影響當然無法輕忽。因此，我國學界有不少研究台灣企業匯率暴險之文獻。然而，過去匯率暴險領域的研究有兩點值得改進之處。首先，過去之文獻研究包含台灣之電子、鋼鐵、航運，甚至是金融業，卻遺漏了進出口貿易頻繁之塑膠產業；第二，過去從事外匯暴險之研究總是使用市場基礎法進行分析，只使用投資人的觀點去關心匯率波動對於企業股價之影響，卻不試著站在公司管理階層的立場去觀察匯率波動對於細部現金流量之影響。 本研究針對這兩點問題，同時使用市場基礎法與現金流量基礎法對於台灣上市上櫃塑膠產業之企業進行匯率暴險之研究。為了研究之完整性，又進一步找出可能影響企業匯率暴險之決定因子。 實證結果發現，針對21家台灣上市櫃塑膠產業之公司樣本，在市場基礎法下，90%的企業有顯著的匯率暴險，且暴險方向皆為正向；在現金流量基礎法下，42.86%的企業有顯著的匯率暴險，且長期下之匯率暴險較短期更為顯著。 此外，在匯率暴險決定因子之分析中，以市場基礎法得到之匯率暴險值與公司規模呈現顯著之正向關係，與衍生性商品避險變數呈現顯著之負向關係；然而，對速動比率、利息保障倍數比、法人持股比率三個變數之關係皆不顯著。 本研究或許可提供未來國內研究匯率暴險領域之學者一個更完整的分析架構與更實用的實證結果。

Due to small domestic market size and lack of natural resources, Taiwan relies heavily on international trade activities. It’s absolutely out of question we can’t neglect the effect of exchange rate volatility on the profitability of businesses in Taiwan. Hence, there were lots of domestic literatures related to the exchange rate exposure and its determinants. Reviewing those theses, however, we found they leave two defects to be corrected. First, in the field of exchange rate exposure research, most industries which have high degrees of trade dependence were studied except for plastic industry. Second, most of past theses centered on stock price exposures to exchange rate volatility, which is what external investors really focus. However, what internal managers in companies care about are cash flow exposures instead of stock price exposures. To solve the problems mentioned above, we analyze the exchange rate exposures of firms in domestic plastic industry by the market-based method and the cash flow-based method. Further, we also researched the potential determinants of exchange rate exposures under the market-based method. Empirical results show that as to the 21 sample companies in this research, 90% of them exhibit significant and positive exchange rate exposures under the market-based method. Under cash flow-based method, 42.86% of them show significant exchange rate exposures, and more significant in the long run. Besides, when analyzing the determinants of exchange rate exposures, the research results show significant, positive relationship between “exposure” and “firm size” as well as significant, negative relationship between “exposure” and “hedge with derivatives”. Unfortunately, when it comes to the determinants such as “quick ratio”, “interest rate coverage”, and “institutional investor ratio”, the results are all insignificant. This thesis may well provide the future domestic scholars studying exchange rate exposure a more complete analysis structure and more useful empirical results.